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CAPITAL MARKETS: MARKET EFFICIENCY ABSTRACTS"Evidence that Analysts Are Not Information-Intermediaries"
OYA ALTINKILIC, University of Pittsburgh - Katz Graduate School of Business This study examines whether security analyst earnings forecasts are informative. A widely held view supported by several empirical studies is that security analyst earnings forecasts are informative. We present evidence drawn from more detailed analyses of security returns than used in past studies which shows analyst forecasts are not particularly informative. This finding agrees with the recent finding of Altinkilic and Hansen (2009), that analyst recommendations are not informative. We also show that analysts forecast tend to piggyback on the news and recent events. We examine whether our conclusions also apply in the case of bold forecasts, more accurate forecasts, more timely forecasts, and forecasts from analysts at more reputable brokerages. However, in all cases we find forecast revisions to be information-free. We conclude from the combined findings that security analysts are not information agents in securities markets, contrary to the conventional view. "The Evolution of Aggregate Stock Ownership - A Unified Explanation"
KRISTIAN RYDQVIST, SUNY at Binghamton - School of Management, Centre for Economic Policy Research (CEPR), European Corporate Governance Institute (ECGI) Since World War II, direct stock ownership by households has largely been replaced by indirect stock ownership by financial institutions. We argue that tax policy is the driving force. Using long time-series from eight countries, we show that the fraction of household ownership decreases with measures of the tax benefits of holding stocks inside a pension plan. This finding is important for policy considerations on effective taxation and for financial economics research on the long-term effects of taxation on corporate finance and asset prices. "Pricing Anomalies in Interest Rate Markets During the Financial Crisis of 2007-2009"
C. H. HUI, Hong Kong Monetary Authority - Research Department This paper examines pricing anomalies in the interest rate markets during the financial crisis of 2007-2009. Before the failure of Lehman credit and funding constraints weakened the relationship between interest rates of LIBOR and derivatives in the euro, British pound and US dollar, with equivalent discounted cash flows, and hence gave rise to pricing anomalies that would not usually exist. After the Lehman failure, the pricing anomalies in the two European currencies reduced with the relaxation of the funding constraint. The funding and credit constraints however became insignificant for the pricing anomalies in the dollar which persisted during the first half of 2009.
ROBERT W. FAFF, Monash University - Department of Accounting and Finance We examine whether bank bailout programs initiated in seven countries during the 2007-2009 global financial crisis reduced counterparty risk in the financial system using the hedge fund industry as a laboratory. Hedge funds have extensive and economically significant ties to banking institutions and these links spurred fears of systemic risk among regulators and investors. We find that the rescue of financial institutions offering prime brokerage, custodial and investment advisory services to hedge funds was followed in the short term (up to six months) by reduced probability of hedge fund liquidation. However, only the rescue of custodians reduced hedge fund illiquidity or the ability of funds to meet clients’ redemption requests. | ||||||||||
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Solicitation of Abstracts
This journal publishes working and accepted paper abstracts covering a range of topics, including efficient markets theory and evidence, the informational role of prices, and the speed of reaction of prices to information.
Distribution ServicesIf your organization is interested in increasing readership for its research by starting a Research Paper Series, or sponsoring a Subject Matter eJournal, please email: RPS@SSRN.com Distributed by:Advisory BoardCapital Markets: Market Efficiency EDWARD I. ALTMAN GEERT BEKAERT DENNIS R. CAPOZZA DON CHEW J. DAVID CUMMINS DOUGLAS W. DIAMOND EUGENE F. FAMA STEPHEN FIGLEWSKI KENNETH R. FRENCH STUART I. GREENBAUM CAMPBELL R. HARVEY MICHAEL C. JENSEN JONATHAN M. KARPOFF KENNETH LEHN STANLEY R. PLISKA CHARLES I. PLOSSER KATHERINE SCHIPPER ALAN SCHWARTZ G. WILLIAM SCHWERT WILLIAM F. SHARPE RENE M. STULZ ROSS L. WATTS
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